A Survey of Alternative Equity Index Strategies
| Autor: | Jason C. Hsu, Vitali Kalesnik, Tzee-man Chow, Bryce Little |
|---|---|
| Rok vydání: | 2011 |
| Předmět: |
Economics and Econometrics
Equity risk 050208 finance Actuarial science Computer science Investment strategy 05 social sciences Equity (finance) Private equity firm Passive management Private equity fund Accounting 0502 economics and business Economics 050207 economics Project portfolio management Finance Equity capital markets |
| Zdroj: | SSRN Electronic Journal. |
| ISSN: | 1556-5068 |
| DOI: | 10.2139/ssrn.1696333 |
| Popis: | After reviewing the methodologies behind the more popular quantitative investment strategies offered to investors as passive equity indices, the authors devised an integrated evaluation framework. They found that the strategies outperform their cap-weighted counterparts largely owing to exposure to value and size factors. Almost entirely spanned by market, value, and size factors, any one of these strategies can be mimicked by combinations of the others. Thus, implementation cost is a better evaluation criterion than returns. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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